知识与财富的链接
研究了期权定价的微分对策方法中得到的偏微分方程的数值解法．通过微分对策的离散化，并运用离散时间动态规划原则得到了原偏微分方程的有限差分逼近．基于粘性解的概念证明了有限差分方程的解一致收敛于原偏微分方程的解．给出了计算机仿真结果，并讨论了期权价格的性质．
The paper is concerned with numerical solution of the partial differential equation derived in the differential game approach to option pricing. A finite difference approximation to the original equation is obtained by discretizing the differential game and using the discrete time dynamic programming principle. Based on the theory of viscosity solution, it is proved that the solution to the difference equation converges to that of the partial differential equation. Computer simulations are carried out and the properties of the option price are analyzed.